How to use 2 different connections on the same computer [read]?

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I play a game that for some reason blocks my internet service provider from accessing it, so I have to play with my phone's connection, which is an internet service provided by a different a company. All I need to do is dedicate my phone's connection to that one game, and use a different connection for the rest of the computer, is there a way to do that?
@Karlsonas: It's not the service provider that's blocking the game, but it's the opposite, the game it self is blocking the service provider.
@Andru: Then go ahead and explain it to me.